Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0069 |
| Annualized Std Dev | 0.1001 |
| Annualized Sharpe (Rf=0%) | -0.0692 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3273.0000 |
| NAs | 1.0000 |
| Minimum | -0.0671 |
| Quartile 1 | -0.0031 |
| Median | 0.0002 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0034 |
| Maximum | 0.0552 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0063 |
| Skewness | -0.7041 |
| Kurtosis | 12.2689 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0047 |
| Gain Deviation | 0.0041 |
| Loss Deviation | 0.0049 |
| Downside Deviation (MAR=210%) | 0.0103 |
| Downside Deviation (Rf=0%) | 0.0047 |
| Downside Deviation (0%) | 0.0047 |
| Maximum Drawdown | 0.3173 |
| Historical VaR (95%) | -0.0094 |
| Historical ES (95%) | -0.0149 |
| Modified VaR (95%) | -0.0100 |
| Modified ES (95%) | -0.0218 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-03-28 | 2008-11-21 | 2011-04-26 | -0.3173 | 777 | 168 | 609 |
| 2012-12-21 | 2020-03-18 | NA | -0.2984 | 2075 | 1821 | NA |
| 2011-05-02 | 2011-11-25 | 2012-12-17 | -0.1221 | 411 | 146 | 265 |
| 2008-03-20 | 2008-03-20 | 2008-03-24 | -0.0047 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | -1.6 | -1.1 | 0 | -0.2 | -1.1 | -0.1 | 0.7 | -0.2 | -2 | 0 | -5.5 |
| 2009 | -1.2 | 0.4 | 1.1 | 0.2 | 0.8 | 0.5 | 1.6 | 0.4 | -0.1 | -0.6 | 1 | 0.4 | 4.7 |
| 2010 | 0.8 | -0.4 | 0.5 | 0.7 | 0 | 0.9 | 0.8 | 0.5 | 0.8 | 0.1 | 0.5 | 1 | 6.4 |
| 2011 | 0.8 | -0.1 | 0.2 | 0.6 | -1 | -0.2 | -1.1 | -0.6 | -0.3 | -1.2 | -0.2 | 0.2 | -3 |
| 2012 | 1.2 | 0 | 0.5 | 0.2 | 0 | 0.9 | -0.6 | 0.4 | 0.3 | 0.2 | 0.2 | 0.3 | 3.7 |
| 2013 | 0.2 | -0.4 | 0 | 0.2 | -0.5 | 0.2 | -0.6 | -0.3 | 0 | -1.3 | 0.2 | -0.1 | -2.5 |
| 2014 | -0.4 | 0.5 | 0.2 | -0.4 | 0 | 0.1 | -0.6 | 0.1 | 0.4 | -0.7 | 0.1 | 0.1 | -0.7 |
| 2015 | -0.1 | 0 | 0.5 | -1.1 | -0.9 | -0.9 | 0.7 | 0.7 | 0 | 0.1 | 0.7 | -0.1 | -0.3 |
| 2016 | 0.5 | 0.3 | -0.2 | 0.6 | 0 | -0.1 | -0.1 | 0.4 | -0.2 | -0.5 | -0.3 | -0.1 | 0.3 |
| 2017 | 1.1 | -0.7 | 0.2 | 0.1 | 0.8 | 0.2 | 0.2 | 0.3 | 0 | -0.1 | 0.7 | 0.3 | 3.2 |
| 2018 | -0.6 | -0.1 | 0.6 | -0.9 | -0.5 | 0.5 | -0.7 | 0.1 | -0.3 | 0.9 | -0.1 | 0.2 | -0.9 |
| 2019 | 0.1 | -0.6 | 0.2 | 0 | 0.2 | -0.6 | -0.3 | -0.4 | -0.3 | 0 | 0.6 | 0.1 | -1 |
| 2020 | 0.3 | -0.5 | -1.4 | -0.6 | 0.4 | 0.4 | 0 | 0.1 | -0.2 | -0.5 | 0.1 | 0.1 | -1.8 |
| 2021 | -0.3 | 0.1 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
